Skip to content
Permalink
Branch: master
Find file Copy path
Find file Copy path
Fetching contributors…
Cannot retrieve contributors at this time
162 lines (141 sloc) 4.45 KB
// Copyright ©2016 The Gonum Authors. All rights reserved.
// Use of this source code is governed by a BSD-style
// license that can be found in the LICENSE file.
package distuv
import (
"math"
"golang.org/x/exp/rand"
"gonum.org/v1/gonum/mathext"
)
const logPi = 1.1447298858494001741 // http://oeis.org/A053510
// StudentsT implements the three-parameter Student's T distribution, a distribution
// over the real numbers.
//
// The Student's T distribution has density function
// Γ((ν+1)/2) / (sqrt(νπ) Γ(ν/2) σ) (1 + 1/ν * ((x-μ)/σ)^2)^(-(ν+1)/2)
//
// The Student's T distribution approaches the normal distribution as ν → ∞.
//
// For more information, see https://en.wikipedia.org/wiki/Student%27s_t-distribution,
// specifically https://en.wikipedia.org/wiki/Student%27s_t-distribution#Non-standardized_Student.27s_t-distribution .
//
// The standard Student's T distribution is with Mu = 0, and Sigma = 1.
type StudentsT struct {
// Mu is the location parameter of the distribution, and the mean of the
// distribution
Mu float64
// Sigma is the scale parameter of the distribution. It is related to the
// standard deviation by std = Sigma * sqrt(Nu/(Nu-2))
Sigma float64
// Nu is the shape prameter of the distribution, representing the number of
// degrees of the distribution, and one less than the number of observations
// from a Normal distribution.
Nu float64
Src rand.Source
}
// CDF computes the value of the cumulative distribution function at x.
func (s StudentsT) CDF(x float64) float64 {
// transform to standard normal
y := (x - s.Mu) / s.Sigma
if y == 0 {
return 0.5
}
// For t > 0
// F(y) = 1 - 0.5 * I_t(y)(nu/2, 1/2)
// t(y) = nu/(y^2 + nu)
// and 1 - F(y) for t < 0
t := s.Nu / (y*y + s.Nu)
if y > 0 {
return 1 - 0.5*mathext.RegIncBeta(0.5*s.Nu, 0.5, t)
}
return 0.5 * mathext.RegIncBeta(s.Nu/2, 0.5, t)
}
// LogProb computes the natural logarithm of the value of the probability
// density function at x.
func (s StudentsT) LogProb(x float64) float64 {
g1, _ := math.Lgamma((s.Nu + 1) / 2)
g2, _ := math.Lgamma(s.Nu / 2)
z := (x - s.Mu) / s.Sigma
return g1 - g2 - 0.5*math.Log(s.Nu) - 0.5*logPi - math.Log(s.Sigma) - ((s.Nu+1)/2)*math.Log(1+z*z/s.Nu)
}
// Mean returns the mean of the probability distribution.
func (s StudentsT) Mean() float64 {
return s.Mu
}
// Mode returns the mode of the distribution.
func (s StudentsT) Mode() float64 {
return s.Mu
}
// NumParameters returns the number of parameters in the distribution.
func (StudentsT) NumParameters() int {
return 3
}
// Prob computes the value of the probability density function at x.
func (s StudentsT) Prob(x float64) float64 {
return math.Exp(s.LogProb(x))
}
// Quantile returns the inverse of the cumulative distribution function.
func (s StudentsT) Quantile(p float64) float64 {
if p < 0 || p > 1 {
panic(badPercentile)
}
// F(x) = 1 - 0.5 * I_t(x)(nu/2, 1/2)
// t(x) = nu/(t^2 + nu)
if p == 0.5 {
return s.Mu
}
var y float64
if p > 0.5 {
// Know t > 0
t := mathext.InvRegIncBeta(s.Nu/2, 0.5, 2*(1-p))
y = math.Sqrt(s.Nu * (1 - t) / t)
} else {
t := mathext.InvRegIncBeta(s.Nu/2, 0.5, 2*p)
y = -math.Sqrt(s.Nu * (1 - t) / t)
}
// Convert out of standard normal
return y*s.Sigma + s.Mu
}
// Rand returns a random sample drawn from the distribution.
func (s StudentsT) Rand() float64 {
// http://www.math.uah.edu/stat/special/Student.html
n := Normal{0, 1, s.Src}.Rand()
c := Gamma{s.Nu / 2, 0.5, s.Src}.Rand()
z := n / math.Sqrt(c/s.Nu)
return z*s.Sigma + s.Mu
}
// StdDev returns the standard deviation of the probability distribution.
//
// The standard deviation is undefined for ν <= 1, and this returns math.NaN().
func (s StudentsT) StdDev() float64 {
return math.Sqrt(s.Variance())
}
// Survival returns the survival function (complementary CDF) at x.
func (s StudentsT) Survival(x float64) float64 {
// transform to standard normal
y := (x - s.Mu) / s.Sigma
if y == 0 {
return 0.5
}
// For t > 0
// F(y) = 1 - 0.5 * I_t(y)(nu/2, 1/2)
// t(y) = nu/(y^2 + nu)
// and 1 - F(y) for t < 0
t := s.Nu / (y*y + s.Nu)
if y > 0 {
return 0.5 * mathext.RegIncBeta(s.Nu/2, 0.5, t)
}
return 1 - 0.5*mathext.RegIncBeta(s.Nu/2, 0.5, t)
}
// Variance returns the variance of the probability distribution.
//
// The variance is undefined for ν <= 1, and this returns math.NaN().
func (s StudentsT) Variance() float64 {
if s.Nu < 1 {
return math.NaN()
}
if s.Nu <= 2 {
return math.Inf(1)
}
return s.Sigma * s.Sigma * s.Nu / (s.Nu - 2)
}
You can’t perform that action at this time.